Macerich (Germany) Market Value
| M6G Stock | EUR 19.85 0.01 0.05% |
| Symbol | Macerich |
Macerich 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Macerich's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Macerich.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in Macerich on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding The Macerich or generate 0.0% return on investment in Macerich over 30 days. Macerich is related to or competes with SBI Insurance, Universal Insurance, Singapore Reinsurance, Zurich Insurance, ZURICH INSURANCE, LIFENET INSURANCE, and BORR DRILLING. Macerich, an SP 500 company, is a fully integrated, self-managed and self-administered real estate investment trust, whi... More
Macerich Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Macerich's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess The Macerich upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.28 | |||
| Information Ratio | 0.2006 | |||
| Maximum Drawdown | 11.35 | |||
| Value At Risk | (3.61) | |||
| Potential Upside | 4.51 |
Macerich Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Macerich's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Macerich's standard deviation. In reality, there are many statistical measures that can use Macerich historical prices to predict the future Macerich's volatility.| Risk Adjusted Performance | 0.207 | |||
| Jensen Alpha | 0.5445 | |||
| Total Risk Alpha | 0.2027 | |||
| Sortino Ratio | 0.1964 | |||
| Treynor Ratio | 2.36 |
Macerich Backtested Returns
Macerich appears to be very steady, given 3 months investment horizon. Macerich has Sharpe Ratio of 0.23, which conveys that the firm had a 0.23% return per unit of risk over the last 3 months. We have found thirty technical indicators for Macerich, which you can use to evaluate the volatility of the firm. Please exercise Macerich's Risk Adjusted Performance of 0.207, market risk adjusted performance of 2.37, and Downside Deviation of 2.28 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Macerich holds a performance score of 18. The company secures a Beta (Market Risk) of 0.24, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Macerich's returns are expected to increase less than the market. However, during the bear market, the loss of holding Macerich is expected to be smaller as well. Please check Macerich's standard deviation, total risk alpha, and the relationship between the coefficient of variation and jensen alpha , to make a quick decision on whether Macerich's current price movements will revert.
Auto-correlation | 0.80 |
Very good predictability
The Macerich has very good predictability. Overlapping area represents the amount of predictability between Macerich time series from 1st of November 2024 to 16th of November 2024 and 16th of November 2024 to 1st of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Macerich price movement. The serial correlation of 0.8 indicates that around 80.0% of current Macerich price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.8 | |
| Spearman Rank Test | 0.8 | |
| Residual Average | 0.0 | |
| Price Variance | 0.68 |
Macerich lagged returns against current returns
Autocorrelation, which is Macerich stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Macerich's stock expected returns. We can calculate the autocorrelation of Macerich returns to help us make a trade decision. For example, suppose you find that Macerich has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Macerich regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Macerich stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Macerich stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Macerich stock over time.
Current vs Lagged Prices |
| Timeline |
Macerich Lagged Returns
When evaluating Macerich's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Macerich stock have on its future price. Macerich autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Macerich autocorrelation shows the relationship between Macerich stock current value and its past values and can show if there is a momentum factor associated with investing in The Macerich.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Macerich Stock
Macerich financial ratios help investors to determine whether Macerich Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Macerich with respect to the benefits of owning Macerich security.